In [4]:
#%matplotlib inline
#terminal_output = open('/dev/stdout', 'w')
#print('xxx', file=terminal_output)
from IPython.display import Javascript
from nbconvert import HTMLExporter
import time
def save_notebook():
display(
Javascript("IPython.notebook.save_notebook()"),
include=['application/javascript']
)
def output_HTML(read_file, output_file):
import codecs
import nbformat
exporter = HTMLExporter()
# read_file is '.ipynb', output_file is '.html'
output_notebook = nbformat.read(read_file, as_version=4)
output, resources = exporter.from_notebook_node(output_notebook)
codecs.open(output_file, 'w', encoding='utf-8').write(output)
%run -i 'backtest.py'
save_notebook()
time.sleep(3)
current_file = 'regression.ipynb'
output_file = 'output_file.html'
output_HTML(current_file, output_file)
factor_1 sector
date asset
2014-01-06 00:00:00+00:00 Equity(0 [A]) 653.0 Capital Goods
Equity(2 [AAL]) 3075.0 Transportation
Equity(3 [AAMC]) 2271.0 Finance
Equity(4 [AAN]) 687.0 Technology
Equity(5 [AAOI]) 2206.0 Technology
Equity(6 [AAON]) 1478.0 Capital Goods
Equity(7 [AAP]) 872.0 Consumer Services
Equity(8 [AAPL]) 2548.0 Technology
Equity(9 [AAT]) 1668.0 Consumer Services
Equity(10 [AAWW]) 383.0 Transportation
Equity(11 [ABAX]) 245.0 Capital Goods
Equity(12 [ABBV]) 1181.0 Health Care
Equity(13 [ABC]) 2790.0 Health Care
Equity(14 [ABCB]) 1487.0 Finance
Equity(15 [ABCO]) 2056.0 NaN
Equity(16 [ABFS]) 2634.0 NaN
Equity(17 [ABG]) 1679.0 Consumer Durables
Equity(18 [ABM]) 1148.0 Finance
Equity(19 [ABMD]) 2435.0 Health Care
Equity(20 [ABT]) 1113.0 Health Care
Equity(21 [ACAD]) 2400.0 Health Care
Equity(22 [ACAS]) 1019.0 NaN
Equity(23 [ACAT]) 1051.0 NaN
Equity(24 [ACC]) 610.0 Consumer Services
Equity(25 [ACCL]) 189.0 NaN
Equity(26 [ACCO]) 392.0 Consumer Durables
Equity(27 [ACE]) 2372.0 NaN
Equity(28 [ACET]) 2240.0 Health Care
Equity(29 [ACFN]) 211.0 NaN
Equity(30 [ACGL]) 3012.0 Finance
... ... ...
2017-12-29 00:00:00+00:00 Equity(3157 [XOMA]) 1273.0 Health Care
Equity(3158 [XON]) 1619.0 Health Care
Equity(3159 [XONE]) 2262.0 Capital Goods
Equity(3161 [XOXO]) 1725.0 Consumer Services
Equity(3162 [XPO]) 228.0 Consumer Services
Equity(3163 [XRAY]) 1765.0 Health Care
Equity(3164 [XRM]) 393.0 Basic Industries
Equity(3165 [XRX]) 714.0 Technology
Equity(3167 [XXII]) 1431.0 Consumer Non-Durables
Equity(3168 [XYL]) 1926.0 Capital Goods
Equity(3169 [Y]) 263.0 Finance
Equity(3171 [YELP]) 2108.0 Consumer Services
Equity(3173 [YORW]) 1821.0 Public Utilities
Equity(3174 [YRCW]) 124.0 Transportation
Equity(3175 [YUM]) 782.0 Consumer Services
Equity(3176 [YUME]) 1779.0 NaN
Equity(3177 [Z]) 1302.0 Miscellaneous
Equity(3178 [ZAGG]) 2265.0 Consumer Services
Equity(3180 [ZBH]) 547.0 Health Care
Equity(3181 [ZBRA]) 2128.0 Technology
Equity(3182 [ZEN]) 2168.0 Technology
Equity(3184 [ZEUS]) 298.0 Basic Industries
Equity(3185 [ZGNX]) 1533.0 Health Care
Equity(3188 [ZION]) 211.0 Finance
Equity(3189 [ZIOP]) 1722.0 Health Care
Equity(3190 [ZIXI]) 1435.0 Technology
Equity(3194 [ZNGA]) 1864.0 Technology
Equity(3195 [ZOES]) 101.0 Consumer Services
Equity(3197 [ZTS]) 1629.0 Health Care
Equity(3198 [ZUMZ]) 572.0 Consumer Services
[2857898 rows x 2 columns]
Equity(0 [A]) Equity(1 [AA]) Equity(2 [AAL]) \
2014-01-06 00:00:00+00:00 56.64 NaN 27.03
2014-01-07 00:00:00+00:00 56.64 NaN 27.03
2014-01-08 00:00:00+00:00 56.64 NaN 27.03
2014-01-09 00:00:00+00:00 56.64 NaN 27.03
2014-01-10 00:00:00+00:00 56.64 NaN 27.03
2014-01-13 00:00:00+00:00 58.93 NaN 28.65
2014-01-14 00:00:00+00:00 58.93 NaN 28.65
2014-01-15 00:00:00+00:00 58.93 NaN 28.65
2014-01-16 00:00:00+00:00 58.93 NaN 28.65
2014-01-17 00:00:00+00:00 58.93 NaN 28.65
2014-01-21 00:00:00+00:00 60.85 NaN 30.66
2014-01-22 00:00:00+00:00 60.85 NaN 30.66
2014-01-23 00:00:00+00:00 60.85 NaN 30.66
2014-01-24 00:00:00+00:00 60.85 NaN 30.66
2014-01-27 00:00:00+00:00 58.30 NaN 30.18
2014-01-28 00:00:00+00:00 58.30 NaN 30.18
2014-01-29 00:00:00+00:00 58.30 NaN 30.18
2014-01-30 00:00:00+00:00 58.30 NaN 30.18
2014-01-31 00:00:00+00:00 58.30 NaN 30.18
2014-02-03 00:00:00+00:00 56.15 NaN 33.96
2014-02-04 00:00:00+00:00 56.15 NaN 33.96
2014-02-05 00:00:00+00:00 56.15 NaN 33.96
2014-02-06 00:00:00+00:00 56.15 NaN 33.96
2014-02-07 00:00:00+00:00 56.15 NaN 33.96
2014-02-10 00:00:00+00:00 59.01 NaN 35.58
2014-02-11 00:00:00+00:00 59.01 NaN 35.58
2014-02-12 00:00:00+00:00 59.01 NaN 35.58
2014-02-13 00:00:00+00:00 59.01 NaN 35.58
2014-02-14 00:00:00+00:00 59.01 NaN 35.58
2014-02-18 00:00:00+00:00 55.15 NaN 34.31
... ... ... ...
2017-11-16 00:00:00+00:00 67.13 43.13 45.74
2017-11-17 00:00:00+00:00 67.13 43.13 45.74
2017-11-20 00:00:00+00:00 69.96 42.21 47.69
2017-11-21 00:00:00+00:00 69.96 42.21 47.69
2017-11-22 00:00:00+00:00 69.96 42.21 47.69
2017-11-24 00:00:00+00:00 69.96 42.21 47.69
2017-11-27 00:00:00+00:00 69.31 42.04 48.42
2017-11-28 00:00:00+00:00 69.31 42.04 48.42
2017-11-29 00:00:00+00:00 69.31 42.04 48.42
2017-11-30 00:00:00+00:00 69.31 42.04 48.42
2017-12-01 00:00:00+00:00 69.31 42.04 48.42
2017-12-04 00:00:00+00:00 66.24 41.79 49.93
2017-12-05 00:00:00+00:00 66.24 41.79 49.93
2017-12-06 00:00:00+00:00 66.24 41.79 49.93
2017-12-07 00:00:00+00:00 66.24 41.79 49.93
2017-12-08 00:00:00+00:00 66.24 41.79 49.93
2017-12-11 00:00:00+00:00 67.00 42.24 51.30
2017-12-12 00:00:00+00:00 67.00 42.24 51.30
2017-12-13 00:00:00+00:00 67.00 42.24 51.30
2017-12-14 00:00:00+00:00 67.00 42.24 51.30
2017-12-15 00:00:00+00:00 67.00 42.24 51.30
2017-12-18 00:00:00+00:00 67.66 44.57 51.49
2017-12-19 00:00:00+00:00 67.66 44.57 51.49
2017-12-20 00:00:00+00:00 67.66 44.57 51.49
2017-12-21 00:00:00+00:00 67.66 44.57 51.49
2017-12-22 00:00:00+00:00 67.66 44.57 51.49
2017-12-26 00:00:00+00:00 67.25 50.38 52.85
2017-12-27 00:00:00+00:00 67.25 50.38 52.85
2017-12-28 00:00:00+00:00 67.25 50.38 52.85
2017-12-29 00:00:00+00:00 67.25 50.38 52.85
Equity(3 [AAMC]) Equity(4 [AAN]) \
2014-01-06 00:00:00+00:00 911.130 29.42
2014-01-07 00:00:00+00:00 911.130 29.42
2014-01-08 00:00:00+00:00 911.130 29.42
2014-01-09 00:00:00+00:00 911.130 29.42
2014-01-10 00:00:00+00:00 911.130 29.42
2014-01-13 00:00:00+00:00 1051.210 27.00
2014-01-14 00:00:00+00:00 1051.210 27.00
2014-01-15 00:00:00+00:00 1051.210 27.00
2014-01-16 00:00:00+00:00 1051.210 27.00
2014-01-17 00:00:00+00:00 1051.210 27.00
2014-01-21 00:00:00+00:00 1178.000 27.02
2014-01-22 00:00:00+00:00 1178.000 27.02
2014-01-23 00:00:00+00:00 1178.000 27.02
2014-01-24 00:00:00+00:00 1178.000 27.02
2014-01-27 00:00:00+00:00 1020.800 27.21
2014-01-28 00:00:00+00:00 1020.800 27.21
2014-01-29 00:00:00+00:00 1020.800 27.21
2014-01-30 00:00:00+00:00 1020.800 27.21
2014-01-31 00:00:00+00:00 1020.800 27.21
2014-02-03 00:00:00+00:00 938.150 26.69
2014-02-04 00:00:00+00:00 938.150 26.69
2014-02-05 00:00:00+00:00 938.150 26.69
2014-02-06 00:00:00+00:00 938.150 26.69
2014-02-07 00:00:00+00:00 938.150 26.69
2014-02-10 00:00:00+00:00 988.750 29.24
2014-02-11 00:00:00+00:00 988.750 29.24
2014-02-12 00:00:00+00:00 988.750 29.24
2014-02-13 00:00:00+00:00 988.750 29.24
2014-02-14 00:00:00+00:00 988.750 29.24
2014-02-18 00:00:00+00:00 1000.000 29.77
... ... ...
2017-11-16 00:00:00+00:00 80.100 35.53
2017-11-17 00:00:00+00:00 80.100 35.53
2017-11-20 00:00:00+00:00 76.625 36.74
2017-11-21 00:00:00+00:00 76.625 36.74
2017-11-22 00:00:00+00:00 76.625 36.74
2017-11-24 00:00:00+00:00 76.625 36.74
2017-11-27 00:00:00+00:00 76.500 35.57
2017-11-28 00:00:00+00:00 76.500 35.57
2017-11-29 00:00:00+00:00 76.500 35.57
2017-11-30 00:00:00+00:00 76.500 35.57
2017-12-01 00:00:00+00:00 76.500 35.57
2017-12-04 00:00:00+00:00 72.950 37.65
2017-12-05 00:00:00+00:00 72.950 37.65
2017-12-06 00:00:00+00:00 72.950 37.65
2017-12-07 00:00:00+00:00 72.950 37.65
2017-12-08 00:00:00+00:00 72.950 37.65
2017-12-11 00:00:00+00:00 73.000 37.08
2017-12-12 00:00:00+00:00 73.000 37.08
2017-12-13 00:00:00+00:00 73.000 37.08
2017-12-14 00:00:00+00:00 73.000 37.08
2017-12-15 00:00:00+00:00 73.000 37.08
2017-12-18 00:00:00+00:00 81.300 38.28
2017-12-19 00:00:00+00:00 81.300 38.28
2017-12-20 00:00:00+00:00 81.300 38.28
2017-12-21 00:00:00+00:00 81.300 38.28
2017-12-22 00:00:00+00:00 81.300 38.28
2017-12-26 00:00:00+00:00 77.800 40.36
2017-12-27 00:00:00+00:00 77.800 40.36
2017-12-28 00:00:00+00:00 77.800 40.36
2017-12-29 00:00:00+00:00 77.800 40.36
Equity(5 [AAOI]) Equity(6 [AAON]) \
2014-01-06 00:00:00+00:00 14.33 31.17
2014-01-07 00:00:00+00:00 14.33 31.17
2014-01-08 00:00:00+00:00 14.33 31.17
2014-01-09 00:00:00+00:00 14.33 31.17
2014-01-10 00:00:00+00:00 14.33 31.17
2014-01-13 00:00:00+00:00 13.70 30.93
2014-01-14 00:00:00+00:00 13.70 30.93
2014-01-15 00:00:00+00:00 13.70 30.93
2014-01-16 00:00:00+00:00 13.70 30.93
2014-01-17 00:00:00+00:00 13.70 30.93
2014-01-21 00:00:00+00:00 14.15 33.43
2014-01-22 00:00:00+00:00 14.15 33.43
2014-01-23 00:00:00+00:00 14.15 33.43
2014-01-24 00:00:00+00:00 14.15 33.43
2014-01-27 00:00:00+00:00 13.72 31.67
2014-01-28 00:00:00+00:00 13.72 31.67
2014-01-29 00:00:00+00:00 13.72 31.67
2014-01-30 00:00:00+00:00 13.72 31.67
2014-01-31 00:00:00+00:00 13.72 31.67
2014-02-03 00:00:00+00:00 13.61 28.02
2014-02-04 00:00:00+00:00 13.61 28.02
2014-02-05 00:00:00+00:00 13.61 28.02
2014-02-06 00:00:00+00:00 13.61 28.02
2014-02-07 00:00:00+00:00 13.61 28.02
2014-02-10 00:00:00+00:00 13.12 27.48
2014-02-11 00:00:00+00:00 13.12 27.48
2014-02-12 00:00:00+00:00 13.12 27.48
2014-02-13 00:00:00+00:00 13.12 27.48
2014-02-14 00:00:00+00:00 13.12 27.48
2014-02-18 00:00:00+00:00 13.66 29.41
... ... ...
2017-11-16 00:00:00+00:00 44.58 33.80
2017-11-17 00:00:00+00:00 44.58 33.80
2017-11-20 00:00:00+00:00 43.48 34.95
2017-11-21 00:00:00+00:00 43.48 34.95
2017-11-22 00:00:00+00:00 43.48 34.95
2017-11-24 00:00:00+00:00 43.48 34.95
2017-11-27 00:00:00+00:00 41.24 35.25
2017-11-28 00:00:00+00:00 41.24 35.25
2017-11-29 00:00:00+00:00 41.24 35.25
2017-11-30 00:00:00+00:00 41.24 35.25
2017-12-01 00:00:00+00:00 41.24 35.25
2017-12-04 00:00:00+00:00 44.05 37.45
2017-12-05 00:00:00+00:00 44.05 37.45
2017-12-06 00:00:00+00:00 44.05 37.45
2017-12-07 00:00:00+00:00 44.05 37.45
2017-12-08 00:00:00+00:00 44.05 37.45
2017-12-11 00:00:00+00:00 40.52 35.05
2017-12-12 00:00:00+00:00 40.52 35.05
2017-12-13 00:00:00+00:00 40.52 35.05
2017-12-14 00:00:00+00:00 40.52 35.05
2017-12-15 00:00:00+00:00 40.52 35.05
2017-12-18 00:00:00+00:00 39.27 35.95
2017-12-19 00:00:00+00:00 39.27 35.95
2017-12-20 00:00:00+00:00 39.27 35.95
2017-12-21 00:00:00+00:00 39.27 35.95
2017-12-22 00:00:00+00:00 39.27 35.95
2017-12-26 00:00:00+00:00 38.91 36.60
2017-12-27 00:00:00+00:00 38.91 36.60
2017-12-28 00:00:00+00:00 38.91 36.60
2017-12-29 00:00:00+00:00 38.91 36.60
Equity(7 [AAP]) Equity(8 [AAPL]) Equity(9 [AAT]) \
2014-01-06 00:00:00+00:00 111.80 543.93 31.64
2014-01-07 00:00:00+00:00 111.80 543.93 31.64
2014-01-08 00:00:00+00:00 111.80 543.93 31.64
2014-01-09 00:00:00+00:00 111.80 543.93 31.64
2014-01-10 00:00:00+00:00 111.80 543.93 31.64
2014-01-13 00:00:00+00:00 114.29 535.73 31.63
2014-01-14 00:00:00+00:00 114.29 535.73 31.63
2014-01-15 00:00:00+00:00 114.29 535.73 31.63
2014-01-16 00:00:00+00:00 114.29 535.73 31.63
2014-01-17 00:00:00+00:00 114.29 535.73 31.63
2014-01-21 00:00:00+00:00 118.00 549.07 32.15
2014-01-22 00:00:00+00:00 118.00 549.07 32.15
2014-01-23 00:00:00+00:00 118.00 549.07 32.15
2014-01-24 00:00:00+00:00 118.00 549.07 32.15
2014-01-27 00:00:00+00:00 115.40 550.50 31.43
2014-01-28 00:00:00+00:00 115.40 550.50 31.43
2014-01-29 00:00:00+00:00 115.40 550.50 31.43
2014-01-30 00:00:00+00:00 115.40 550.50 31.43
2014-01-31 00:00:00+00:00 115.40 550.50 31.43
2014-02-03 00:00:00+00:00 110.22 501.53 32.10
2014-02-04 00:00:00+00:00 110.22 501.53 32.10
2014-02-05 00:00:00+00:00 110.22 501.53 32.10
2014-02-06 00:00:00+00:00 110.22 501.53 32.10
2014-02-07 00:00:00+00:00 110.22 501.53 32.10
2014-02-10 00:00:00+00:00 123.32 528.99 32.55
2014-02-11 00:00:00+00:00 123.32 528.99 32.55
2014-02-12 00:00:00+00:00 123.32 528.99 32.55
2014-02-13 00:00:00+00:00 123.32 528.99 32.55
2014-02-14 00:00:00+00:00 123.32 528.99 32.55
2014-02-18 00:00:00+00:00 126.79 545.99 33.44
... ... ... ...
2017-11-16 00:00:00+00:00 82.28 173.97 39.53
2017-11-17 00:00:00+00:00 82.28 173.97 39.53
2017-11-20 00:00:00+00:00 91.43 169.98 39.30
2017-11-21 00:00:00+00:00 91.43 169.98 39.30
2017-11-22 00:00:00+00:00 91.43 169.98 39.30
2017-11-24 00:00:00+00:00 91.43 169.98 39.30
2017-11-27 00:00:00+00:00 89.87 174.09 39.21
2017-11-28 00:00:00+00:00 89.87 174.09 39.21
2017-11-29 00:00:00+00:00 89.87 174.09 39.21
2017-11-30 00:00:00+00:00 89.87 174.09 39.21
2017-12-01 00:00:00+00:00 89.87 174.09 39.21
2017-12-04 00:00:00+00:00 104.02 169.80 39.54
2017-12-05 00:00:00+00:00 104.02 169.80 39.54
2017-12-06 00:00:00+00:00 104.02 169.80 39.54
2017-12-07 00:00:00+00:00 104.02 169.80 39.54
2017-12-08 00:00:00+00:00 104.02 169.80 39.54
2017-12-11 00:00:00+00:00 100.85 172.67 38.85
2017-12-12 00:00:00+00:00 100.85 172.67 38.85
2017-12-13 00:00:00+00:00 100.85 172.67 38.85
2017-12-14 00:00:00+00:00 100.85 172.67 38.85
2017-12-15 00:00:00+00:00 100.85 172.67 38.85
2017-12-18 00:00:00+00:00 102.71 176.42 39.40
2017-12-19 00:00:00+00:00 102.71 176.42 39.40
2017-12-20 00:00:00+00:00 102.71 176.42 39.40
2017-12-21 00:00:00+00:00 102.71 176.42 39.40
2017-12-22 00:00:00+00:00 102.71 176.42 39.40
2017-12-26 00:00:00+00:00 101.96 170.57 37.95
2017-12-27 00:00:00+00:00 101.96 170.57 37.95
2017-12-28 00:00:00+00:00 101.96 170.57 37.95
2017-12-29 00:00:00+00:00 101.96 170.57 37.95
... Equity(3189 [ZIOP]) \
2014-01-06 00:00:00+00:00 ... 4.27
2014-01-07 00:00:00+00:00 ... 4.27
2014-01-08 00:00:00+00:00 ... 4.27
2014-01-09 00:00:00+00:00 ... 4.27
2014-01-10 00:00:00+00:00 ... 4.27
2014-01-13 00:00:00+00:00 ... 4.56
2014-01-14 00:00:00+00:00 ... 4.56
2014-01-15 00:00:00+00:00 ... 4.56
2014-01-16 00:00:00+00:00 ... 4.56
2014-01-17 00:00:00+00:00 ... 4.56
2014-01-21 00:00:00+00:00 ... 4.80
2014-01-22 00:00:00+00:00 ... 4.80
2014-01-23 00:00:00+00:00 ... 4.80
2014-01-24 00:00:00+00:00 ... 4.80
2014-01-27 00:00:00+00:00 ... 4.43
2014-01-28 00:00:00+00:00 ... 4.43
2014-01-29 00:00:00+00:00 ... 4.43
2014-01-30 00:00:00+00:00 ... 4.43
2014-01-31 00:00:00+00:00 ... 4.43
2014-02-03 00:00:00+00:00 ... 4.01
2014-02-04 00:00:00+00:00 ... 4.01
2014-02-05 00:00:00+00:00 ... 4.01
2014-02-06 00:00:00+00:00 ... 4.01
2014-02-07 00:00:00+00:00 ... 4.01
2014-02-10 00:00:00+00:00 ... 4.07
2014-02-11 00:00:00+00:00 ... 4.07
2014-02-12 00:00:00+00:00 ... 4.07
2014-02-13 00:00:00+00:00 ... 4.07
2014-02-14 00:00:00+00:00 ... 4.07
2014-02-18 00:00:00+00:00 ... 4.42
... ... ...
2017-11-16 00:00:00+00:00 ... 4.51
2017-11-17 00:00:00+00:00 ... 4.51
2017-11-20 00:00:00+00:00 ... 4.32
2017-11-21 00:00:00+00:00 ... 4.32
2017-11-22 00:00:00+00:00 ... 4.32
2017-11-24 00:00:00+00:00 ... 4.32
2017-11-27 00:00:00+00:00 ... 4.35
2017-11-28 00:00:00+00:00 ... 4.35
2017-11-29 00:00:00+00:00 ... 4.35
2017-11-30 00:00:00+00:00 ... 4.35
2017-12-01 00:00:00+00:00 ... 4.35
2017-12-04 00:00:00+00:00 ... 4.36
2017-12-05 00:00:00+00:00 ... 4.36
2017-12-06 00:00:00+00:00 ... 4.36
2017-12-07 00:00:00+00:00 ... 4.36
2017-12-08 00:00:00+00:00 ... 4.36
2017-12-11 00:00:00+00:00 ... 4.20
2017-12-12 00:00:00+00:00 ... 4.20
2017-12-13 00:00:00+00:00 ... 4.20
2017-12-14 00:00:00+00:00 ... 4.20
2017-12-15 00:00:00+00:00 ... 4.20
2017-12-18 00:00:00+00:00 ... 4.28
2017-12-19 00:00:00+00:00 ... 4.28
2017-12-20 00:00:00+00:00 ... 4.28
2017-12-21 00:00:00+00:00 ... 4.28
2017-12-22 00:00:00+00:00 ... 4.28
2017-12-26 00:00:00+00:00 ... 4.07
2017-12-27 00:00:00+00:00 ... 4.07
2017-12-28 00:00:00+00:00 ... 4.07
2017-12-29 00:00:00+00:00 ... 4.07
Equity(3190 [ZIXI]) Equity(3191 [ZLC]) \
2014-01-06 00:00:00+00:00 4.56 15.39
2014-01-07 00:00:00+00:00 4.56 15.39
2014-01-08 00:00:00+00:00 4.56 15.39
2014-01-09 00:00:00+00:00 4.56 15.39
2014-01-10 00:00:00+00:00 4.56 15.39
2014-01-13 00:00:00+00:00 4.65 14.84
2014-01-14 00:00:00+00:00 4.65 14.84
2014-01-15 00:00:00+00:00 4.65 14.84
2014-01-16 00:00:00+00:00 4.65 14.84
2014-01-17 00:00:00+00:00 4.65 14.84
2014-01-21 00:00:00+00:00 4.62 15.22
2014-01-22 00:00:00+00:00 4.62 15.22
2014-01-23 00:00:00+00:00 4.62 15.22
2014-01-24 00:00:00+00:00 4.62 15.22
2014-01-27 00:00:00+00:00 4.63 15.02
2014-01-28 00:00:00+00:00 4.63 15.02
2014-01-29 00:00:00+00:00 4.63 15.02
2014-01-30 00:00:00+00:00 4.63 15.02
2014-01-31 00:00:00+00:00 4.63 15.02
2014-02-03 00:00:00+00:00 4.41 14.63
2014-02-04 00:00:00+00:00 4.41 14.63
2014-02-05 00:00:00+00:00 4.41 14.63
2014-02-06 00:00:00+00:00 4.41 14.63
2014-02-07 00:00:00+00:00 4.41 14.63
2014-02-10 00:00:00+00:00 4.54 14.93
2014-02-11 00:00:00+00:00 4.54 14.93
2014-02-12 00:00:00+00:00 4.54 14.93
2014-02-13 00:00:00+00:00 4.54 14.93
2014-02-14 00:00:00+00:00 4.54 14.93
2014-02-18 00:00:00+00:00 4.51 14.91
... ... ...
2017-11-16 00:00:00+00:00 4.64 NaN
2017-11-17 00:00:00+00:00 4.64 NaN
2017-11-20 00:00:00+00:00 4.56 NaN
2017-11-21 00:00:00+00:00 4.56 NaN
2017-11-22 00:00:00+00:00 4.56 NaN
2017-11-24 00:00:00+00:00 4.56 NaN
2017-11-27 00:00:00+00:00 4.56 NaN
2017-11-28 00:00:00+00:00 4.56 NaN
2017-11-29 00:00:00+00:00 4.56 NaN
2017-11-30 00:00:00+00:00 4.56 NaN
2017-12-01 00:00:00+00:00 4.56 NaN
2017-12-04 00:00:00+00:00 4.27 NaN
2017-12-05 00:00:00+00:00 4.27 NaN
2017-12-06 00:00:00+00:00 4.27 NaN
2017-12-07 00:00:00+00:00 4.27 NaN
2017-12-08 00:00:00+00:00 4.27 NaN
2017-12-11 00:00:00+00:00 4.27 NaN
2017-12-12 00:00:00+00:00 4.27 NaN
2017-12-13 00:00:00+00:00 4.27 NaN
2017-12-14 00:00:00+00:00 4.27 NaN
2017-12-15 00:00:00+00:00 4.27 NaN
2017-12-18 00:00:00+00:00 4.40 NaN
2017-12-19 00:00:00+00:00 4.40 NaN
2017-12-20 00:00:00+00:00 4.40 NaN
2017-12-21 00:00:00+00:00 4.40 NaN
2017-12-22 00:00:00+00:00 4.40 NaN
2017-12-26 00:00:00+00:00 4.44 NaN
2017-12-27 00:00:00+00:00 4.44 NaN
2017-12-28 00:00:00+00:00 4.44 NaN
2017-12-29 00:00:00+00:00 4.44 NaN
Equity(3192 [ZLTQ]) Equity(3193 [ZMH]) \
2014-01-06 00:00:00+00:00 18.30 93.24
2014-01-07 00:00:00+00:00 18.30 93.24
2014-01-08 00:00:00+00:00 18.30 93.24
2014-01-09 00:00:00+00:00 18.30 93.24
2014-01-10 00:00:00+00:00 18.30 93.24
2014-01-13 00:00:00+00:00 20.21 95.65
2014-01-14 00:00:00+00:00 20.21 95.65
2014-01-15 00:00:00+00:00 20.21 95.65
2014-01-16 00:00:00+00:00 20.21 95.65
2014-01-17 00:00:00+00:00 20.21 95.65
2014-01-21 00:00:00+00:00 23.17 96.45
2014-01-22 00:00:00+00:00 23.17 96.45
2014-01-23 00:00:00+00:00 23.17 96.45
2014-01-24 00:00:00+00:00 23.17 96.45
2014-01-27 00:00:00+00:00 20.71 93.21
2014-01-28 00:00:00+00:00 20.71 93.21
2014-01-29 00:00:00+00:00 20.71 93.21
2014-01-30 00:00:00+00:00 20.71 93.21
2014-01-31 00:00:00+00:00 20.71 93.21
2014-02-03 00:00:00+00:00 19.87 90.87
2014-02-04 00:00:00+00:00 19.87 90.87
2014-02-05 00:00:00+00:00 19.87 90.87
2014-02-06 00:00:00+00:00 19.87 90.87
2014-02-07 00:00:00+00:00 19.87 90.87
2014-02-10 00:00:00+00:00 18.98 95.55
2014-02-11 00:00:00+00:00 18.98 95.55
2014-02-12 00:00:00+00:00 18.98 95.55
2014-02-13 00:00:00+00:00 18.98 95.55
2014-02-14 00:00:00+00:00 18.98 95.55
2014-02-18 00:00:00+00:00 19.47 96.00
... ... ...
2017-11-16 00:00:00+00:00 NaN NaN
2017-11-17 00:00:00+00:00 NaN NaN
2017-11-20 00:00:00+00:00 NaN NaN
2017-11-21 00:00:00+00:00 NaN NaN
2017-11-22 00:00:00+00:00 NaN NaN
2017-11-24 00:00:00+00:00 NaN NaN
2017-11-27 00:00:00+00:00 NaN NaN
2017-11-28 00:00:00+00:00 NaN NaN
2017-11-29 00:00:00+00:00 NaN NaN
2017-11-30 00:00:00+00:00 NaN NaN
2017-12-01 00:00:00+00:00 NaN NaN
2017-12-04 00:00:00+00:00 NaN NaN
2017-12-05 00:00:00+00:00 NaN NaN
2017-12-06 00:00:00+00:00 NaN NaN
2017-12-07 00:00:00+00:00 NaN NaN
2017-12-08 00:00:00+00:00 NaN NaN
2017-12-11 00:00:00+00:00 NaN NaN
2017-12-12 00:00:00+00:00 NaN NaN
2017-12-13 00:00:00+00:00 NaN NaN
2017-12-14 00:00:00+00:00 NaN NaN
2017-12-15 00:00:00+00:00 NaN NaN
2017-12-18 00:00:00+00:00 NaN NaN
2017-12-19 00:00:00+00:00 NaN NaN
2017-12-20 00:00:00+00:00 NaN NaN
2017-12-21 00:00:00+00:00 NaN NaN
2017-12-22 00:00:00+00:00 NaN NaN
2017-12-26 00:00:00+00:00 NaN NaN
2017-12-27 00:00:00+00:00 NaN NaN
2017-12-28 00:00:00+00:00 NaN NaN
2017-12-29 00:00:00+00:00 NaN NaN
Equity(3194 [ZNGA]) Equity(3195 [ZOES]) \
2014-01-06 00:00:00+00:00 4.04 NaN
2014-01-07 00:00:00+00:00 4.04 NaN
2014-01-08 00:00:00+00:00 4.04 NaN
2014-01-09 00:00:00+00:00 4.04 NaN
2014-01-10 00:00:00+00:00 4.04 NaN
2014-01-13 00:00:00+00:00 4.03 NaN
2014-01-14 00:00:00+00:00 4.03 NaN
2014-01-15 00:00:00+00:00 4.03 NaN
2014-01-16 00:00:00+00:00 4.03 NaN
2014-01-17 00:00:00+00:00 4.03 NaN
2014-01-21 00:00:00+00:00 3.63 NaN
2014-01-22 00:00:00+00:00 3.63 NaN
2014-01-23 00:00:00+00:00 3.63 NaN
2014-01-24 00:00:00+00:00 3.63 NaN
2014-01-27 00:00:00+00:00 3.42 NaN
2014-01-28 00:00:00+00:00 3.42 NaN
2014-01-29 00:00:00+00:00 3.42 NaN
2014-01-30 00:00:00+00:00 3.42 NaN
2014-01-31 00:00:00+00:00 3.42 NaN
2014-02-03 00:00:00+00:00 4.49 NaN
2014-02-04 00:00:00+00:00 4.49 NaN
2014-02-05 00:00:00+00:00 4.49 NaN
2014-02-06 00:00:00+00:00 4.49 NaN
2014-02-07 00:00:00+00:00 4.49 NaN
2014-02-10 00:00:00+00:00 4.56 NaN
2014-02-11 00:00:00+00:00 4.56 NaN
2014-02-12 00:00:00+00:00 4.56 NaN
2014-02-13 00:00:00+00:00 4.56 NaN
2014-02-14 00:00:00+00:00 4.56 NaN
2014-02-18 00:00:00+00:00 5.15 NaN
... ... ...
2017-11-16 00:00:00+00:00 3.87 12.84
2017-11-17 00:00:00+00:00 3.87 12.84
2017-11-20 00:00:00+00:00 4.02 13.38
2017-11-21 00:00:00+00:00 4.02 13.38
2017-11-22 00:00:00+00:00 4.02 13.38
2017-11-24 00:00:00+00:00 4.02 13.38
2017-11-27 00:00:00+00:00 4.17 13.47
2017-11-28 00:00:00+00:00 4.17 13.47
2017-11-29 00:00:00+00:00 4.17 13.47
2017-11-30 00:00:00+00:00 4.17 13.47
2017-12-01 00:00:00+00:00 4.17 13.47
2017-12-04 00:00:00+00:00 3.80 16.12
2017-12-05 00:00:00+00:00 3.80 16.12
2017-12-06 00:00:00+00:00 3.80 16.12
2017-12-07 00:00:00+00:00 3.80 16.12
2017-12-08 00:00:00+00:00 3.80 16.12
2017-12-11 00:00:00+00:00 3.93 16.95
2017-12-12 00:00:00+00:00 3.93 16.95
2017-12-13 00:00:00+00:00 3.93 16.95
2017-12-14 00:00:00+00:00 3.93 16.95
2017-12-15 00:00:00+00:00 3.93 16.95
2017-12-18 00:00:00+00:00 4.06 16.63
2017-12-19 00:00:00+00:00 4.06 16.63
2017-12-20 00:00:00+00:00 4.06 16.63
2017-12-21 00:00:00+00:00 4.06 16.63
2017-12-22 00:00:00+00:00 4.06 16.63
2017-12-26 00:00:00+00:00 3.95 17.07
2017-12-27 00:00:00+00:00 3.95 17.07
2017-12-28 00:00:00+00:00 3.95 17.07
2017-12-29 00:00:00+00:00 3.95 17.07
Equity(3196 [ZQK]) Equity(3197 [ZTS]) \
2014-01-06 00:00:00+00:00 8.57 31.98
2014-01-07 00:00:00+00:00 8.57 31.98
2014-01-08 00:00:00+00:00 8.57 31.98
2014-01-09 00:00:00+00:00 8.57 31.98
2014-01-10 00:00:00+00:00 8.57 31.98
2014-01-13 00:00:00+00:00 8.01 31.78
2014-01-14 00:00:00+00:00 8.01 31.78
2014-01-15 00:00:00+00:00 8.01 31.78
2014-01-16 00:00:00+00:00 8.01 31.78
2014-01-17 00:00:00+00:00 8.01 31.78
2014-01-21 00:00:00+00:00 7.93 31.27
2014-01-22 00:00:00+00:00 7.93 31.27
2014-01-23 00:00:00+00:00 7.93 31.27
2014-01-24 00:00:00+00:00 7.93 31.27
2014-01-27 00:00:00+00:00 7.38 31.36
2014-01-28 00:00:00+00:00 7.38 31.36
2014-01-29 00:00:00+00:00 7.38 31.36
2014-01-30 00:00:00+00:00 7.38 31.36
2014-01-31 00:00:00+00:00 7.38 31.36
2014-02-03 00:00:00+00:00 6.83 30.37
2014-02-04 00:00:00+00:00 6.83 30.37
2014-02-05 00:00:00+00:00 6.83 30.37
2014-02-06 00:00:00+00:00 6.83 30.37
2014-02-07 00:00:00+00:00 6.83 30.37
2014-02-10 00:00:00+00:00 6.92 31.14
2014-02-11 00:00:00+00:00 6.92 31.14
2014-02-12 00:00:00+00:00 6.92 31.14
2014-02-13 00:00:00+00:00 6.92 31.14
2014-02-14 00:00:00+00:00 6.92 31.14
2014-02-18 00:00:00+00:00 7.34 30.27
... ... ...
2017-11-16 00:00:00+00:00 NaN 68.88
2017-11-17 00:00:00+00:00 NaN 68.88
2017-11-20 00:00:00+00:00 NaN 70.95
2017-11-21 00:00:00+00:00 NaN 70.95
2017-11-22 00:00:00+00:00 NaN 70.95
2017-11-24 00:00:00+00:00 NaN 70.95
2017-11-27 00:00:00+00:00 NaN 71.54
2017-11-28 00:00:00+00:00 NaN 71.54
2017-11-29 00:00:00+00:00 NaN 71.54
2017-11-30 00:00:00+00:00 NaN 71.54
2017-12-01 00:00:00+00:00 NaN 71.54
2017-12-04 00:00:00+00:00 NaN 71.02
2017-12-05 00:00:00+00:00 NaN 71.02
2017-12-06 00:00:00+00:00 NaN 71.02
2017-12-07 00:00:00+00:00 NaN 71.02
2017-12-08 00:00:00+00:00 NaN 71.02
2017-12-11 00:00:00+00:00 NaN 71.77
2017-12-12 00:00:00+00:00 NaN 71.77
2017-12-13 00:00:00+00:00 NaN 71.77
2017-12-14 00:00:00+00:00 NaN 71.77
2017-12-15 00:00:00+00:00 NaN 71.77
2017-12-18 00:00:00+00:00 NaN 72.63
2017-12-19 00:00:00+00:00 NaN 72.63
2017-12-20 00:00:00+00:00 NaN 72.63
2017-12-21 00:00:00+00:00 NaN 72.63
2017-12-22 00:00:00+00:00 NaN 72.63
2017-12-26 00:00:00+00:00 NaN 72.34
2017-12-27 00:00:00+00:00 NaN 72.34
2017-12-28 00:00:00+00:00 NaN 72.34
2017-12-29 00:00:00+00:00 NaN 72.34
Equity(3198 [ZUMZ])
2014-01-06 00:00:00+00:00 26.00
2014-01-07 00:00:00+00:00 26.00
2014-01-08 00:00:00+00:00 26.00
2014-01-09 00:00:00+00:00 26.00
2014-01-10 00:00:00+00:00 26.00
2014-01-13 00:00:00+00:00 22.17
2014-01-14 00:00:00+00:00 22.17
2014-01-15 00:00:00+00:00 22.17
2014-01-16 00:00:00+00:00 22.17
2014-01-17 00:00:00+00:00 22.17
2014-01-21 00:00:00+00:00 22.67
2014-01-22 00:00:00+00:00 22.67
2014-01-23 00:00:00+00:00 22.67
2014-01-24 00:00:00+00:00 22.67
2014-01-27 00:00:00+00:00 21.98
2014-01-28 00:00:00+00:00 21.98
2014-01-29 00:00:00+00:00 21.98
2014-01-30 00:00:00+00:00 21.98
2014-01-31 00:00:00+00:00 21.98
2014-02-03 00:00:00+00:00 21.01
2014-02-04 00:00:00+00:00 21.01
2014-02-05 00:00:00+00:00 21.01
2014-02-06 00:00:00+00:00 21.01
2014-02-07 00:00:00+00:00 21.01
2014-02-10 00:00:00+00:00 21.30
2014-02-11 00:00:00+00:00 21.30
2014-02-12 00:00:00+00:00 21.30
2014-02-13 00:00:00+00:00 21.30
2014-02-14 00:00:00+00:00 21.30
2014-02-18 00:00:00+00:00 22.00
... ...
2017-11-16 00:00:00+00:00 18.40
2017-11-17 00:00:00+00:00 18.40
2017-11-20 00:00:00+00:00 19.35
2017-11-21 00:00:00+00:00 19.35
2017-11-22 00:00:00+00:00 19.35
2017-11-24 00:00:00+00:00 19.35
2017-11-27 00:00:00+00:00 19.20
2017-11-28 00:00:00+00:00 19.20
2017-11-29 00:00:00+00:00 19.20
2017-11-30 00:00:00+00:00 19.20
2017-12-01 00:00:00+00:00 19.20
2017-12-04 00:00:00+00:00 21.35
2017-12-05 00:00:00+00:00 21.35
2017-12-06 00:00:00+00:00 21.35
2017-12-07 00:00:00+00:00 21.35
2017-12-08 00:00:00+00:00 21.35
2017-12-11 00:00:00+00:00 20.95
2017-12-12 00:00:00+00:00 20.95
2017-12-13 00:00:00+00:00 20.95
2017-12-14 00:00:00+00:00 20.95
2017-12-15 00:00:00+00:00 20.95
2017-12-18 00:00:00+00:00 21.30
2017-12-19 00:00:00+00:00 21.30
2017-12-20 00:00:00+00:00 21.30
2017-12-21 00:00:00+00:00 21.30
2017-12-22 00:00:00+00:00 21.30
2017-12-26 00:00:00+00:00 21.85
2017-12-27 00:00:00+00:00 21.85
2017-12-28 00:00:00+00:00 21.85
2017-12-29 00:00:00+00:00 21.85
[1005 rows x 3196 columns]
Dropped 19.7% entries from factor data: 19.7% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions).
max_loss is 35.0%, not exceeded: OK!
Quantiles Statistics
| min | max | mean | std | count | count % | |
|---|---|---|---|---|---|---|
| factor_quantile | ||||||
| 1 | 1.0 | 671.0 | 291.488122 | 166.342791 | 459371 | 20.016017 |
| 2 | 486.0 | 1297.0 | 857.298763 | 178.339573 | 458791 | 19.990745 |
| 3 | 978.0 | 1914.0 | 1425.942489 | 197.804920 | 458835 | 19.992662 |
| 4 | 1471.0 | 2542.0 | 1997.538245 | 220.964237 | 458791 | 19.990745 |
| 5 | 1978.0 | 3128.0 | 2566.550780 | 246.878084 | 459229 | 20.009830 |
Returns Analysis
| 1D | 5D | 10D | 21D | |
|---|---|---|---|---|
| Ann. alpha | 0.020 | 0.012 | 0.009 | 0.002 |
| beta | 1.040 | 1.056 | 1.076 | 1.063 |
| Mean Period Wise Return Top Quantile (bps) | 5.440 | 7.239 | 6.456 | 5.795 |
| Mean Period Wise Return Bottom Quantile (bps) | 1.059 | 6.412 | 5.819 | 6.095 |
| Mean Period Wise Spread (bps) | 4.381 | 0.774 | 0.557 | -0.328 |
<Figure size 432x288 with 0 Axes>
Information Analysis
| 1D | 5D | 10D | 21D | |
|---|---|---|---|---|
| IC Mean | 0.019 | 0.019 | 0.024 | 0.019 |
| IC Std. | 0.104 | 0.104 | 0.096 | 0.085 |
| Risk-Adjusted IC | 0.183 | 0.180 | 0.251 | 0.222 |
| t-stat(IC) | NaN | 5.659 | 7.868 | 6.974 |
| p-value(IC) | NaN | 0.000 | 0.000 | 0.000 |
| IC Skew | NaN | 0.428 | 0.282 | -0.046 |
| IC Kurtosis | NaN | 0.239 | -0.345 | -0.335 |
Turnover Analysis
| 10D | 1D | 21D | 5D | |
|---|---|---|---|---|
| Quantile 1 Mean Turnover | 0.569 | 0.081 | 0.808 | 0.397 |
| Quantile 2 Mean Turnover | 0.735 | 0.132 | 0.796 | 0.642 |
| Quantile 3 Mean Turnover | 0.756 | 0.139 | 0.796 | 0.677 |
| Quantile 4 Mean Turnover | 0.735 | 0.131 | 0.800 | 0.641 |
| Quantile 5 Mean Turnover | 0.558 | 0.079 | 0.793 | 0.389 |
| 1D | 5D | 10D | 21D | |
|---|---|---|---|---|
| Mean Factor Rank Autocorrelation | 0.941 | 0.707 | 0.45 | -0.009 |
<Figure size 432x288 with 0 Axes>
--------------------------------------------------------------------------- TemplateAssertionError Traceback (most recent call last) ~/trade/system/backtest.py in <module> 27 current_file = 'regression.ipynb' 28 output_file = 'output_file.html' ---> 29 output_HTML(current_file, output_file) ~/trade/system/backtest.py in output_HTML(read_file, output_file) 18 # read_file is '.ipynb', output_file is '.html' 19 output_notebook = nbformat.read(read_file, as_version=4) ---> 20 output, resources = exporter.from_notebook_node(output_notebook) 21 codecs.open(output_file, 'w', encoding='utf-8').write(output) 22 ~/mambaforge/envs/py_3p6/lib/python3.6/site-packages/nbconvert/exporters/html.py in from_notebook_node(self, nb, resources, **kw) 117 highlight_code = self.filters.get('highlight_code', Highlight2HTML(pygments_lexer=lexer, parent=self)) 118 self.register_filter('highlight_code', highlight_code) --> 119 return super().from_notebook_node(nb, resources, **kw) 120 121 def _init_resources(self, resources): ~/mambaforge/envs/py_3p6/lib/python3.6/site-packages/nbconvert/exporters/templateexporter.py in from_notebook_node(self, nb, resources, **kw) 382 383 # Top level variables are passed to the template_exporter here. --> 384 output = self.template.render(nb=nb_copy, resources=resources) 385 output = output.lstrip('\r\n') 386 return output, resources ~/mambaforge/envs/py_3p6/lib/python3.6/site-packages/nbconvert/exporters/templateexporter.py in template(self) 146 def template(self): 147 if self._template_cached is None: --> 148 self._template_cached = self._load_template() 149 return self._template_cached 150 ~/mambaforge/envs/py_3p6/lib/python3.6/site-packages/nbconvert/exporters/templateexporter.py in _load_template(self) 353 self.log.debug("Attempting to load template %s", template_file) 354 self.log.debug(" template_paths: %s", os.pathsep.join(self.template_paths)) --> 355 return self.environment.get_template(template_file) 356 357 def from_notebook_node(self, nb, resources=None, **kw): ~/mambaforge/envs/py_3p6/lib/python3.6/site-packages/jinja2/environment.py in get_template(self, name, parent, globals) 995 name = self.join_path(name, parent) 996 --> 997 return self._load_template(name, globals) 998 999 @internalcode ~/mambaforge/envs/py_3p6/lib/python3.6/site-packages/jinja2/environment.py in _load_template(self, name, globals) 956 return template 957 --> 958 template = self.loader.load(self, name, self.make_globals(globals)) 959 960 if self.cache is not None: ~/mambaforge/envs/py_3p6/lib/python3.6/site-packages/jinja2/loaders.py in load(self, environment, name, globals) 561 for loader in self.loaders: 562 try: --> 563 return loader.load(environment, name, globals) 564 except TemplateNotFound: 565 pass ~/mambaforge/envs/py_3p6/lib/python3.6/site-packages/jinja2/loaders.py in load(self, environment, name, globals) 135 # date) etc. we compile the template 136 if code is None: --> 137 code = environment.compile(source, name, filename) 138 139 # if the bytecode cache is available and the bucket doesn't ~/mambaforge/envs/py_3p6/lib/python3.6/site-packages/jinja2/environment.py in compile(self, source, name, filename, raw, defer_init) 755 return self._compile(source, filename) 756 except TemplateSyntaxError: --> 757 self.handle_exception(source=source_hint) 758 759 def compile_expression( ~/mambaforge/envs/py_3p6/lib/python3.6/site-packages/jinja2/environment.py in handle_exception(self, source) 923 from .debug import rewrite_traceback_stack 924 --> 925 raise rewrite_traceback_stack(source=source) 926 927 def join_path(self, template: str, parent: str) -> str: ~/.local/share/jupyter/nbconvert/templates/lab/index.html.j2 in template() 11 <meta charset="utf-8" /> 12 <meta name="viewport" content="width=device-width, initial-scale=1.0"> ---> 13 {% set nb_title = nb.metadata.get('title', resources['metadata']['name']) | escape_html_keep_quotes %} 14 <title>{{nb_title}}</title> 15 TemplateAssertionError: No filter named 'escape_html_keep_quotes'.